EBA’s Heatmap Following Scrutiny of the Interest Rate Risk in the Banking Book

The EBA published on 24 January 2024 a heatmap following scrutiny of the interest rate risk in the banking book (IRRBB) standards implementation in the EU. The heatmap divulges policy aspects that will be subject to further scrutiny, and corresponding actions in the short to medium and long term. The scrutiny plans include:

• Scrutiny of specific aspects of the EBA Guidelines on IRRBB,
• A general assessment of the management of interest rate risk from a prudential perspective, particularly the changes in the modelling assumptions and hedging strategies used by institutions, and
• Other aspects concerning the impact of increases in interest rates on capital instrument valuations or other accounting or liquidity aspects which interact strongly with IRRBB ones.

ESA’s Joint Annual Report for 2023

The Joint Committee (JC) of the ESAs published its 2023 Annual Report, providing an account of the joint work completed during 2023. The JC focused on areas of cross-sectoral relevance, including:

• Joint risk assessment,
• Sustainable finance,
• Operational risk and digital resilience,
• Consumer protection and financial innovation,
• Securitisation,
• Financial conglomerates,
• Central clearing, and
• European Single Access Point (ESAP).